Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.0324 |
| Annualized Std Dev | 0.2017 |
| Annualized Sharpe (Rf=0%) | 0.1605 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 3712.0000 |
| NAs | 1.0000 |
| Minimum | -0.1137 |
| Quartile 1 | -0.0060 |
| Median | 0.0007 |
| Arithmetic Mean | 0.0002 |
| Geometric Mean | 0.0001 |
| Quartile 3 | 0.0068 |
| Maximum | 0.0932 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | -0.0002 |
| UCL Mean (0.95) | 0.0006 |
| Variance | 0.0002 |
| Stdev | 0.0127 |
| Skewness | -0.2831 |
| Kurtosis | 6.3286 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0092 |
| Gain Deviation | 0.0086 |
| Loss Deviation | 0.0096 |
| Downside Deviation (MAR=210%) | 0.0140 |
| Downside Deviation (Rf=0%) | 0.0091 |
| Downside Deviation (0%) | 0.0091 |
| Maximum Drawdown | 0.4670 |
| Historical VaR (95%) | -0.0198 |
| Historical ES (95%) | -0.0305 |
| Modified VaR (95%) | -0.0201 |
| Modified ES (95%) | -0.0360 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-02-27 | 2008-10-10 | 2014-07-01 | -0.4670 | 1850 | 411 | 1439 |
| 2018-01-29 | 2020-03-16 | NA | -0.4243 | 792 | 536 | NA |
| 2015-08-11 | 2016-02-12 | 2016-06-08 | -0.1436 | 209 | 129 | 80 |
| 2014-07-29 | 2014-12-15 | 2015-03-18 | -0.1212 | 161 | 98 | 63 |
| 2006-08-21 | 2006-11-21 | 2007-01-24 | -0.1061 | 107 | 66 | 41 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2006 | NA | NA | NA | NA | NA | 0.3 | -0.5 | 0.5 | -0.4 | -0.2 | 0.3 | -0.5 | -0.3 |
| 2007 | 1.8 | 0 | -0.6 | 0.4 | 0.4 | 0.5 | -1.1 | 2.3 | 1.2 | -1.7 | -0.5 | -0.3 | 2.4 |
| 2008 | 0.2 | -0.6 | 1.8 | -0.3 | 1.1 | 0.1 | -1.1 | 0.5 | -1.9 | 0.9 | -5.6 | 1 | -4 |
| 2009 | -0.5 | 0.4 | 1 | -0.3 | 1.3 | 1.5 | 0.7 | -1.3 | -2.6 | -0.5 | 2.6 | -0.5 | 1.8 |
| 2010 | 0.2 | 0.7 | 1.3 | -0.8 | 0.5 | 0.6 | -0.6 | 2 | -0.2 | -1.1 | 1.7 | 0.9 | 5.2 |
| 2011 | 1.7 | -0.7 | -1.3 | 0.2 | -0.4 | 0.4 | 0.1 | -1.2 | -2.4 | -0.7 | -2.4 | 1.3 | -5.5 |
| 2012 | 1 | 0.5 | 1 | 0.2 | -3 | 1.3 | 0 | 0.4 | 0.3 | 1.2 | -1.1 | 0.8 | 2.4 |
| 2013 | 0 | 0.4 | -5.1 | -0.4 | -1.3 | 1 | 2.1 | -2.3 | -0.4 | -1.3 | -0.4 | 0.3 | -7.4 |
| 2014 | -2 | 0.5 | 0.7 | 1.5 | 0.2 | 1.3 | -0.4 | -0.2 | -1.3 | 3.6 | 0.7 | -0.6 | 3.9 |
| 2015 | -1.2 | -0.5 | -0.2 | 0.5 | 1 | 1.1 | 0.7 | -4 | -0.5 | -0.4 | 0.7 | -0.7 | -3.6 |
| 2016 | -0.2 | 1.7 | -2.2 | -0.3 | 0.2 | 0.1 | -0.8 | 0.6 | -0.5 | -0.3 | -0.7 | 0.1 | -2.3 |
| 2017 | 0.7 | 0.7 | -1.2 | 0.2 | 1 | 0.5 | 0.3 | 0.1 | 0.4 | 0.3 | -0.8 | 0.5 | 2.7 |
| 2018 | 1.1 | -2.8 | 1.5 | -0.2 | 0.8 | -0.2 | 0.5 | -0.1 | 0.4 | 0.8 | 0.3 | -0.3 | 1.7 |
| 2019 | -0.3 | -0.1 | 1.9 | -0.2 | -0.8 | 1.9 | -0.6 | 1.1 | -0.1 | 0.7 | -1.1 | 0.3 | 2.7 |
| 2020 | -1.8 | -0.3 | -5.7 | -1.4 | 1.2 | -0.9 | -3.4 | 0.2 | -0.2 | -0.9 | 2.3 | 0.2 | -10.3 |
| 2021 | 0.7 | 1.8 | 1.8 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 4.4 |
Row
Price Chart
Row
Rolling Performance Chart
Row
Snail Trail Chart
